在现有研究基础上,将套利者的售卖压力内生化,探讨套利者一致售卖和股市崩溃的关系。结果显示,反馈交易者影响套利者骑乘泡沫的时间,但并不影响崩溃的时间。对topview投资者日持股数据进行的分析表明,机构投资者不仅骑在泡沫上,而且其提前售卖与2007年上海股市崩溃密切相关。这对正确认识机构投资者作用和市场监管具有重要启示。Investors distraction will cause the inadequate response to the earningsan nouncements．Taking earningspre- announcements inChina's listed companies from year 2003-2009 as our sample，we found that compared with other week calendar and lownews days，investors pay less attention to the earningspre-announcements disclosed on Friday
Saturday and inhigh newsdays separately，which verifies the hypothesis that competitive information and information released at weekend can distract the investors'attention．Moreover，Companies are more likely to disclose badnews in weekend and high newsdays when investor are less attention than do that inother week calendar and lownewsdays，so as to
reduce the downward volatility of stockprices，which cause the phenomenon of centralized disclosing of negative information．Therefore，our study provides an alternative explanation for the badnews "clustering"phenomenon from the perspective of investors'distraction theory．国家自然科学基金(71071132);南京审计学院人才引进项目(NSRC11014
